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Stochastic Volatility and the Volatility Smile

, 2008
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Tracking Volatility

Problems of Information Transmission, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
L. Goldentayer, Fima C. Klebaner, Robert Sh. Liptser   +2 more
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Forecasting Volatility with Time-Varying Leverage and Volatility of Volatility Effects

SSRN Electronic Journal, 2018
Abstract Predicting volatility is of primary importance for business applications in risk management, asset allocation, and the pricing of derivative instruments. This paper proposes a measurement model that considers the possibly time-varying interaction of realized volatility and asset returns according to a bivariate model to capture its major ...
Catania, L, Proietti, T
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Nonvolatile, semivolatile, or volatile: Redefining volatile for volatile organic compounds

Journal of the Air & Waste Management Association, 2014
Although widely used in air quality regulatory frameworks, the term "volatile organic compound" (VOC) is poorly defined. Numerous standardized tests are currently used in regulations to determine VOC content (and thus volatility), but in many cases the tests do not agree with each other, nor do they always accurately represent actual evaporation rates ...
Uyên-Uyén T, Võ, Michael P, Morris
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Mathematical Finance, 2010
Using an expansion of the transition density function of a one‐dimensional time inhomogeneous diffusion, we obtain the first‐ and second‐order terms in the short time asymptotics of European call option prices. The method described can be generalized to any order.
J. Gatheral, E. Hsu, LAURENCE, Peter Michael, Cheng Ouyang, T.H. Wang   +4 more
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Stochastic Volatility [PDF]

SSRN Electronic Journal, 2008
Given the importance of return volatility on a number of practical financial management decisions, the efforts to provide good real-time estimates and forecasts of current and future volatility have been extensive. The main framework used in this context involves stochastic volatility models.
Torben G. Andersen, Luca Benzoni
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Stochastic Volatility III: Volatility Models and Volatility Surfaces

SSRN Electronic Journal, 2010
We consider implied volatility, time-dependent volatility, local volatility and stochastic volatility. We derive relationships between the different concepts. The relationships are of an exact analytical type if this is possible, else we use expansions to obtain approximate expressions. We close with a discussion of the mixing theorem.
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Volatility of volatility is (also) rough

Journal of Futures Markets, 2019
AbstractUsing high‐frequency data for major volatility indexes, we compute the volatility of volatility and show that its logarithm follows a fractional Brownian motion with Hurst parameter smaller than 1/2 thereby extending to the volatility asset class the recent findings obtained for the equity index markets.
José Da Fonseca, Wenjun Zhang
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A Stochastic Volatility Model, Volatility Smile and Forecasting Volatility

SSRN Electronic Journal, 2004
In this paper we propose a stochastic valuation model based on the Fourier transform for option price. This model can be used for the valuation of European options, characterized by two state variables: the price of the underlying asset and its volatility.
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